Optimal portfolio strategy under rolling economic maximum drawdown constraints

DOI10.1155/2014/787943zbMath1407.91241OpenAlexW2062070447WikidataQ59072199 ScholiaQ59072199MaRDI QIDQ1719131

Siyu Xie, Xiaojian Yu, Wei-jun Xu

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/787943

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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Cites Work

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